Simulation -based smoothing and filtering in factor stochastic volatility models : two econometric applications (July-2001)

The past decade has wítenessed a series of (well accepted and defined) financial crises periods in the world economy. Most of these events aI,"e country specific and eventually spreaded out across neighbor countries, with the concept of vicinity extrapolating the geographic maps and entering the contagion maps. Unfortunately, what contagion represents and how to measure it are still unanswered questions. In this article we measure the transmission of shocks by cross-market correlation\ coefficients following Forbes and Rigobon's (2000) notion of shift-contagion,. Our main contribution relies upon the use of traditional factor model techniques combined with stochastic volatility mo deIs to study the dependence among Latin American stock price indexes and the North American indexo More specifically, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. From a theoretical perspective, we improve currently available methodology by allowing the factor loadings, in the factor model structure, to have a time-varying structure and to capture changes in the series' weights over time. By doing this, we believe that changes and interventions experienced by those five countries are well accommodated by our models which learns and adapts reasonably fast to those economic and idiosyncratic shocks. We empirically show that the time varying covariance structure can be modeled by one or two common factors and that some sort of contagion is present in most of the series' covariances during periods of economical instability, or crisis. Open issues on real time implementation and natural model comparisons are thoroughly discussed.

Analysis of land use and occupancy in permanent preservation areas according to the hydrography of Ribeirão Água Fria - Bofete, SP - Brazil

Os conflitos de uso são determinados pelas ocupações inadequadas do solo, como é o caso de ocupação do solo dentro de áreas de preservação permanente. O presente trabalho teve como objetivos determinar as classes de uso do solo e se há conflitos dentro de áreas de preservação permanente ao longo da rede de drenagem da microbacia do Ribeirão Água Fria, município de Bofete (SP). Situa-se geograficamente entre as coordenadas: 48°09'30 a 48°18'30 de longitude WGr., 22°58'30 a 23°04'30 de latitude sul com uma área de 15.242,84 ha. O mapa de uso do solo foi elaborado por meio da interpretação diretamente na tela do computador de imagem digital de satélite. Nos dados orbitais, a área de estudo está inserida no quadrante A, da imagem TM/Landsat-5, órbita 220, ponto 76, passagem de 8/09/2007. O Sistema de Informação Geográfica empregado foi o Cartalinx. As áreas de conflito da microbacia foram obtidas a partir do cruzamento entre os mapas de uso do solo e de APPs. Os resultados permitiram concluir que mais da metade da área (51,09%) está ocupada por pastagens, reflexo de solos arenosos e de baixa fertilidade. Constatou-se, ainda, que apesar de quase metade da microbacia estar coberta com algum tipo de vegetação (48,78% de mata natural/reflorestamento), possui aproximadamente um terço das áreas de preservação permanente utilizadas inadequadamente por pastagens (88,15%), reflorestamento (10,42%) e solo exposto (1,43%), totalizando 343,07 ha de áreas conflitantes em um total de 993,26 ha de APPs.

Diffusion of Nitrogen in Ti-13V-11Cr-3Al Alloys

Metals with a bcc crystalline structure such as Ti-13V-11Cr-3Al alloys have their physical properties significantly changed through the addition of interstitial elements such as oxygen and nitrogen. These metals can dissolve substantial amounts of interstitial elements forming solid solutions. Mechanical spectroscopy measurements constitute a powerful tool for studying interactions of these interstitial elements with other elements that make up the alloy. From these measurements, it is possible to obtain information regarding diffusion, interstitial concentration, interaction between interstitials, and other imperfections of the crystalline lattice, In this paper, Ti-13V-11Cr-3Al alloys with several amount of nitrogen, in a solid solution, were studied using mechanical spectroscopy (internal friction) measurements. The results presented complex internal friction spectra which were resolved in a series of constituent Debye peaks corresponding to different interactions and interstitial diffusion coefficients. Pre-exponential factors and activation energies were calculated for nitrogen in theses alloys.

On anomalous diffusion and the fractional generalized Langevin equation for a harmonic oscillator

The fractional generalized Langevin equation (FGLE) is proposed to discuss the anomalous diffusive behavior of a harmonic oscillator driven by a two-parameter Mittag-Leffler noise. The solution of this FGLE is discussed by means of the Laplace transform methodology and the kernels are presented in terms of the three-parameter Mittag-Leffler functions. Recent results associated with a generalized Langevin equation are recovered.

Extended depth from focus reconstruction using NIH ImageJ plugins: Quality and resolution of elevation maps

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Transdentinal diffusion and cytotoxicity of self-etching adhesive systems

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Comparison of teicoplanin disk diffusion and broth microdilution methods against clinical isolates of Staphylococcus aureus and S. epidermidis

The CLSI M100-S19 document has recommended the disuse of vancomycin disks for staphylococci and informed that studies on the action of teicoplanin in disk-diffusion testing should be performed. We describe the comparison of two methods, disk diffusion and broth microdilution, for determining teicoplanin susceptibility in clinical isolates of staphylococci. Overall results showed an aggregation rate of 96.8%; Staphylococcus aureus showed total agreement while S. epidermidis showed 93.8% of agreement. According to these local results, disk diffusion can still be employed to teicoplanin susceptibility determination for staphylococci in our institution.

The impact of soybean expansion on mammal and bird, in the Balsas region, north Brasilian Cerrado

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Conformal structures and twistors in the paravector model of spacetime

Some properties of the Clifford algebras Cl-3,Cl-0, Cl-1,Cl-3, Cl-4,Cl-1 similar or equal to C circle times Cl-1,Cl-3 and Cl-2,Cl-4 are presented, and three isomorphisms between the Dirac-Clifford algebra C circle times Cl-1,Cl-3 and Cl-4,Cl-1 are exhibited, in order to construct conformal maps and twistors, using the paravector model of spacetime. The isomorphism between the twistor space inner product isometry group SU( 2,2) and the group $pin(+)(2,4) is also investigated, in the light of a suitable isomorphism between C circle times Cl-1,Cl-3 and Cl-4,Cl-1. After reviewing the conformal spacetime structure, conformal maps are described in Minkowski spacetime as the twisted adjoint representation of $ pin(+)(2,4), acting on paravectors. Twistors are then presented via the paravector model of Clifford algebras and related to conformal maps in the Clifford algebra over the Lorentzian R-4,(1) spacetime.We construct twistors in Minkowski spacetime as algebraic spinors associated with the Dirac-Clifford algebra C circle times Cl-1,Cl-3 using one lower spacetime dimension than standard Clifford algebra formulations, since for this purpose, the Clifford algebra over R-4,R-1 is also used to describe conformal maps, instead of R-2,(4). Our formalism sheds some new light on the use of the paravector model and generalizations.

Boundary crisis and transient in a dissipative relativistic standard map

Some dynamical properties for a problem concerning the acceleration of particles in a wave packet are studied. The model is described in terms of a two-dimensional nonlinear map obtained from a Hamiltonian which describes the motion of a relativistic standard map. The phase space is mixed in the sense that there are regular and chaotic regions coexisting. When dissipation is introduced, the property of area preservation is broken and attractors emerge. We have shown that a tiny increase of the dissipation causes a change in the phase space. A chaotic attractor as well as its basin of attraction are destroyed thereby leading the system to experience a boundary crisis. We have characterized such a boundary crisis via a collision of the chaotic attractor with the stable manifold of a saddle fixed point. Once the chaotic attractor is destroyed, a chaotic transient described by a power law with exponent 1 is observed. (C) 2011 Elsevier B.V. All rights reserved.

Fitting hyperbolic universes to Cayon-Smoot spots in COBE maps

On the possibility that the universe's matter density is low (Ohm(0) < 1), cosmologies can be considered with the metric of Friedmann's open universe but with closed hyperbolic manifolds as the physical three-space. These models have nontrivial spatial topology, with the property of producing multiple images of cosmic sources. Here a fit is attempted of 10 of these models to the physical cold and hot spots found by Cayon & Smoot in the COBE/DMR maps. These spots are interpreted as early, distant images of much nearer sources of inhomogeneity. The source for one of the cold spots is seen as the seed of a known supercluster.

Spatial distribution of solutes and water in sucrose solution dehydrated apples

Half-fresh apples were immersed in sucrose solution (50% w/w, 27 degrees C) during different times of exposition (2, 4, and 8 h). Then each fruit was sliced from the transversal exposed surface. Density, water, and sugar content were determined for each slice. A mathematical model was fitted to experimental data of water and sucrose content considering the global flux and the tissue shrinkage. By numerical analysis, the binary effective diffusion coefficients as a function of concentration were calculated, using material coordinates and integrating simultaneously two differential equations (for water and sucrose). The coefficients obtained are one or even two orders of magnitude lower than the ones for pure solutions and present an unusual concentration dependence. This comparison shows the influence of the tissue resistance to the diffusion.

Paper-based diffusive gradients in thin films technique coupled to energy dispersive X-ray fluorescence spectrometry for the determination of labile Mn, Co, Ni, Cu, Zn and Pb in river water

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Determination of labile inorganic and organic species of Al and Cu in river waters using the diffusive gradients in thin films technique

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Stepped light-induced transient measurements of photocurrent and voltage in dye-sensitized solar cells based on ZnO and ZnO:Ga

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)